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Detecting invalid instruments using L1-GMM

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  • Han, Chirok

Abstract

In this paper we propose a simple L1-GMM consistent estimator for linear structural equations models when some instruments are invalid. A simple method to detect invalid instruments is also proposed.

Suggested Citation

  • Han, Chirok, 2008. "Detecting invalid instruments using L1-GMM," Economics Letters, Elsevier, vol. 101(3), pages 285-287, December.
    • Handle: RePEc:eee:ecolet:v:101:y:2008:i:3:p:285-287
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    References listed on IDEAS

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    1. Chirok Han & Peter C. B. Phillips, 2006. "GMM with Many Moment Conditions," Econometrica, Econometric Society, vol. 74(1), pages 147-192, January.
    2. Douglas Staiger & James H. Stock, 1997. "Instrumental Variables Regression with Weak Instruments," Econometrica, Econometric Society, vol. 65(3), pages 557-586, May.
    3. John C. Chao & Norman R. Swanson, 2005. "Consistent Estimation with a Large Number of Weak Instruments," Econometrica, Econometric Society, vol. 73(5), pages 1673-1692, September.
    4. de Jong, Robert & Han, Chirok, 2002. "THE PROPERTIES OF Lp-GMM ESTIMATORS," Econometric Theory, Cambridge University Press, vol. 18(2), pages 491-504, April.
    5. Mroz, Thomas A, 1987. "The Sensitivity of an Empirical Model of Married Women's Hours of Work to Economic and Statistical Assumptions," Econometrica, Econometric Society, vol. 55(4), pages 765-799, July.
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    Cited by:

    1. Nicolas Apfel & Helmut Farbmacher & Rebecca Groh & Martin Huber & Henrika Langen, 2022. "Detecting Grouped Local Average Treatment Effects and Selecting True Instruments," Papers 2207.04481, arXiv.org, revised Oct 2023.
    2. Gyuhyeong Goh & Jisang Yu, 2022. "Causal inference with some invalid instrumental variables: A quasi‐Bayesian approach," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 84(6), pages 1432-1451, December.
    3. Nicolas Apfel, 2019. "Relaxing the Exclusion Restriction in Shift-Share Instrumental Variable Estimation," Papers 1907.00222, arXiv.org, revised Jul 2022.
    4. Frank Windmeijer & Helmut Farbmacher & Neil Davies & George Davey Smith, 2019. "On the Use of the Lasso for Instrumental Variables Estimation with Some Invalid Instruments," Journal of the American Statistical Association, Taylor & Francis Journals, vol. 114(527), pages 1339-1350, July.
    5. Xiaoran Liang & Eleanor Sanderson & Frank Windmeijer, 2022. "Selecting Valid Instrumental Variables in Linear Models with Multiple Exposure Variables: Adaptive Lasso and the Median-of-Medians Estimator," Papers 2208.05278, arXiv.org.
    6. Yiqi Lin & Frank Windmeijer & Xinyuan Song & Qingliang Fan, 2022. "On the instrumental variable estimation with many weak and invalid instruments," Papers 2207.03035, arXiv.org, revised Dec 2023.
    7. Richard A. Ashley & Guo Li, 2013. "Re-Examining the Impact of Housing Wealth and Stock Wealth on Household Spending: Does Persistence in Wealth Changes Matter?," Working Papers e07-39, Virginia Polytechnic Institute and State University, Department of Economics.

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